Valentyn Panchenko

UNSW Business School, Economics, University of New South Wales

SCHOLARLY PAPERS

10

DOWNLOADS

696

SSRN CITATIONS

5

CROSSREF CITATIONS

5

Scholarly Papers (10)

1.

Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts

Journal of Economic Dynamics and Control, Vol. 34, No. 9, 2010
Number of pages: 27 Posted: 04 Nov 2008 Last Revised: 20 Jun 2011
Cees G. H. Diks, Valentyn Panchenko and Dick J. C. van Dijk
University of Amsterdam - Faculty of Economics and Business (FEB), UNSW Business School, Economics, University of New South Wales and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 161 (199,740)
Citation 4

Abstract:

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Copula-based density forecast, semiparametric statistics, out-of-sample forecast evaluation, Kullback-Leibler Information Criterion, empirical copula

2.

Wright Meets Markowitz: How Standard Portfolio Theory Changes When Assets Are Technologies Following Experience Curves

Number of pages: 43 Posted: 11 May 2017 Last Revised: 29 Aug 2018
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Università di Bologna, UNSW Business School, Economics, University of New South Wales and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 120 (252,276)
Citation 2

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Experience curves, Technological change, Learning-by-doing, Portfolio theory, Technology investment, Markowitz portfolio

3.

Connecting the Dots: Econometric Methods for Uncovering Networks with an Application to the Australian Financial Institutions

Journal of Banking and Finance, 61, S214-S255, 2015
Number of pages: 37 Posted: 06 Feb 2015 Last Revised: 06 May 2016
Mikhail Anufriev and Valentyn Panchenko
University of Technology Sydney (UTS) and UNSW Business School, Economics, University of New South Wales
Downloads 99 (288,702)
Citation 4

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4.

Now You See It, Now You Don’t: How to Make the Allais Paradox Appear, Disappear, or Reverse

UNSW Business School Research Paper No. 2015-14
Number of pages: 25 Posted: 06 Jul 2015
Pavlo R. Blavatskyy, Andreas Ortmann and Valentyn Panchenko
Montpellier Business School, UNSW Australia Business School, School of Economics and UNSW Business School, Economics, University of New South Wales
Downloads 95 (296,465)
Citation 1

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Decision under risk, the Allais Paradox, Common Consequence Effect, Expected Utility, Fanning‐out, Experimental Practices

5.

A Model of Network Formation for the Overnight Interbank Market

CIFR Paper No. 103/2016
Number of pages: 35 Posted: 17 Apr 2016 Last Revised: 28 Apr 2016
Mikhail Anufriev, Andrea Deghi, Valentyn Panchenko and Paolo Pin
University of Technology Sydney (UTS), Department of Political Economy and Statistics, Universita di Siena, UNSW Business School, Economics, University of New South Wales and Bocconi University - Department of Decision Sciences
Downloads 91 (304,662)
Citation 2

Abstract:

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Interbank, Endogenous, Network

6.

Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions

Journal of Economic Dynamics and Control, Forthcoming, doi:10.1016/j.jedc.2013.06.015
Number of pages: 46 Posted: 26 Jun 2013 Last Revised: 30 Sep 2013
Valentyn Panchenko, Sergiy Gerasymchuk and Oleg V. Pavlov
UNSW Business School, Economics, University of New South Wales, ING Group and Worcester Polytechnic Institute (WPI) - Department of Social Science & Policy Studies
Downloads 89 (308,927)
Citation 1

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asset pricing, local interactions, networks, random graph, small world, heterogeneous beliefs, price dynamics

Estimation of a Scale-Free Network Formation Model

UNSW Business School Research Paper No. 2018-10
Number of pages: 40 Posted: 25 Jun 2018
Anton Kolotilin and Valentyn Panchenko
University of New South Wales (UNSW) and UNSW Business School, Economics, University of New South Wales
Downloads 22 (568,393)

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law of large numbers, consistency, degree distribution, scale-free network

8.

Planar Beauty Contests

UNSW Business School Research Paper Forthcoming
Number of pages: 88 Posted: 20 Jun 2019
Mikhail Anufriev, John Duffy and Valentyn Panchenko
University of Technology Sydney (UTS), University of California, Irvine and UNSW Business School, Economics, University of New South Wales
Downloads 18 (575,691)

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Beauty Contest, Learning, Stability, Simultaneous Equation Systems, Level-k theory, Cognitive hierarchy model, Experimental Economics

9.

How common is the common-ratio effect?

Number of pages: 17
P Blavatskyy, Andreas Ortmann and Valentyn Panchenko
Montpellier Business School, UNSW Australia Business School, School of Economics and UNSW Business School, Economics, University of New South Wales
Downloads 1

Abstract:

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Decision Under Risk, Experimental Practices, Common Ratio Effect, Expected Utility Theory, Fanning-out

10.

Time-Varying Market Integration and Stock and Bond Return Concordance in Emerging Markets

Journal of Banking and Finance, Vol. 33, No. 6, pp. 1014-1021, 2009
Posted: 20 Nov 2008 Last Revised: 15 Jan 2011
Valentyn Panchenko and Eliza Wu
UNSW Business School, Economics, University of New South Wales and The University of Sydney - Business School

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Stock-bond comovement, Emerging market integration, Financial liberalization, Investibility